Daniel Borup

Aarhus University, CREATES, DFI

Assistant Professor

School of Business and Social Sciences

Fuglesangs Alle 4

Aarhus V, 8210

Denmark

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 19,170

SSRN RANKINGS

Top 19,170

in Total Papers Downloads

3,494

SSRN CITATIONS
Rank 42,484

SSRN RANKINGS

Top 42,484

in Total Papers Citations

13

CROSSREF CITATIONS

4

Scholarly Papers (9)

1.

Mixed-Frequency Machine Learning: Now- and Backcasting Weekly Initial Claims with Daily Internet Search-Volume Data

Number of pages: 52 Posted: 13 Sep 2020 Last Revised: 29 Jul 2021
Aarhus University, CREATES, DFI, Washington University in St. LouisSaint Louis University and Aarhus UniversityAarhus University - CREATES
Downloads 648 (53,585)
Citation 2

Abstract:

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Mixed-frequency data, LASSO, Elastic net, Neural network, Unemployment insurance, Internet search, Variable importance

2.

In Search of a Job: Forecasting Employment Growth Using Google Trends

Journal of Business and Economic Statistics, forthcoming
Number of pages: 36 Posted: 22 Jul 2019 Last Revised: 01 Jul 2020
Aarhus University, CREATES, DFI and Aarhus UniversityAarhus University - CREATES
Downloads 584 (61,129)
Citation 6

Abstract:

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Google Trends, forecast comparison, US employment growth, targeting predictors, random forests, keyword search

3.

Predicting Bond Return Predictability

Number of pages: 114 Posted: 30 Jan 2020 Last Revised: 25 Jan 2022
Aarhus University, CREATES, DFI, Aarhus University, CREATES, DFI, Aarhus University, CREATES and Northwestern University - Kellogg School of Management
Downloads 476 (78,620)

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bond excess returns, forecasting, state-dependencies, multivariate test, equal conditional predictive ability

4.

Quantifying Investor Narratives and Their Role during COVID-19

Number of pages: 101 Posted: 20 Dec 2020 Last Revised: 22 Jan 2022
Aarhus University, CREATES, DFI, Aarhus University, Aarhus UniversityAarhus University - CREATESAarhus University - Department of Economics and Business Economics and Aarhus UniversityAarhus University - CREATES
Downloads 461 (81,800)
Citation 1

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COVID-19, textual analysis, latent Dirichlet allocation, narrative economics

5.

Asset Pricing With Data Revisions

Journal of Financial Markets, Forthcoming
Number of pages: 76 Posted: 13 Sep 2019 Last Revised: 10 Feb 2021
Aarhus University, CREATES, DFI and Aarhus UniversityAarhus University - CREATES
Downloads 327 (120,885)
Citation 2

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Data revisions, vintage data, consumption-based capital asset pricing model, NIPA personal consumption expenditures, ambiguity.

6.

Capturing Volatility Persistence: A Dynamically Complete Realized EGARCH-MIDAS Model

Quantitative Finance, Forthcoming
Number of pages: 38 Posted: 17 Nov 2017 Last Revised: 10 Jul 2019
Daniel Borup and Johan Stax Jakobsen
Aarhus University, CREATES, DFI and CREATES
Downloads 283 (140,905)
Citation 4

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Realized Exponential GARCH, Long Memory, GARCH-MIDAS, HAR, Realized Kernel

7.

Targeting predictors in random forest regression

Number of pages: 44 Posted: 28 Apr 2020 Last Revised: 29 Oct 2020
Aarhus University, CREATES, DFI, Aarhus University, Massachusetts Institute of Technology and Columbia University
Downloads 250 (159,761)
Citation 2

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Random Forests, LASSO, High-Dimensional Forecasting, Weak Predictors, Targeted Predictors

8.

Stock Market Volatility and Public Information Flow: A Non-linear Perspective

Economics Letters, Forthcoming
Number of pages: 43 Posted: 10 May 2021
CREATES, Aarhus University, CREATES, DFI and CREATES
Downloads 244 (164,158)

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News analytics, mixture-distribution hypothesis, realized GARCH, smooth transitioning, stock market volatility, GARCH-MIDAS

9.

Predictive Regressions under Arbitrary Persistence and Stock Return Predictability

Number of pages: 75 Posted: 22 Mar 2021
Aarhus University, CREATES, DFI, Aarhus University and Aarhus University
Downloads 221 (179,735)

Abstract:

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Stock return predictability, predictive regressions, persistence, panel data, factor structure